Dimensionality reduction is a commonly used technique in data analytics. Reducing the dimensionality of datasets helps not only with managing their analytical complexity but also with removing redundancy. Over the years, several such algorithms have been proposed with their aims ranging from generating simple linear projections to complex non-linear transformations of the input data. Subsequently, researchers have defined several quality metrics in order to evaluate the performances of different algorithms. Hence, given a plethora of dimensionality reduction algorithms and metrics for their quality analysis, there is a long-existing need for guidelines on how to select the most appropriate algorithm in a given scenario. In order to bridge this gap, in this article, we have compiled 12 state-of-the-art quality metrics and categorized them into 5 identified analytical contexts. Furthermore, we assessed 15 most popular dimensionality reduction algorithms on the chosen quality metrics using a large-scale and systematic experimental study. Later, using a set of robust non-parametric statistical tests, we assessed the generalizability of our evaluation on 40 real-world datasets. Finally, based on our results, we present practitioners’ guidelines for the selection of an appropriate dimensionally reduction algorithm in the present analytical contexts.